Never, ever heard of anyone trying it, and it's so special I think someone would have by now if it was doable. Some people do roses, but the 'tree' part of them has more to work on, whereas if you mess with a peony (with the roots, or move it) it complains very loudly and possibly dies, certainly makes it hard to work on as a bonsai. The woody parts don't get 'interesting' in the way a regular tree would.

From what I hear they dont respond well to heavy pruning either